EDIT: I just tried it and it seemed to install- but now I can't seem to figure out how to run it....DOH!

Heh! Seemed ton install ? EH ? You must not run it when in windows lol! It's a Bios based program.

Let me clarify things.

Ok, so you have the .bin file on your desktop.
Use Nero and burn the .bin file using the option "Burn an image to CD" in Nero.
When done, reboot, insert the CD into your CD\DVD Rom drive while it's rebooting and go into Bios.
Then go in the boot section of the bios and set your comp to boot from your CD\DVD Rom Drive first.
Save the change in bios and it'll reboot automatically.
Once it has rebooted, actually before it starts to load Windows, Memtest should start. You'll see a blue screen with options you can select with arrows and numbers on your keyboard.

Choose default tests and re-start the test\stress!

EDIT: Actually, you might need to push a button when you have rebooted to boot from CD... You know when it says "Push any bottuns to boot from CD....."